Review of Financial Studies Vol. 2 No. 2 1989
A Mean-Variance Framework for Tests of Asset Pricing Models
Abstract
[This article presents a mean-variance framework for likelihood-ratio tests of asset pricing models. A pricing model is tested by examining the position of one or more reference portfolios in sample mean-standard-deviation space. Included are tests of both single-beta and multiple-beta relations, with or without a riskless asset, using either a general or a specific alternative hypothesis. Tests with a factor that is not a portfolio return are also included. The mean-variance framework is illustrated by testing the zero-beta CAPM, a two-beta pricing model, and the consumption-beta model.]
- Volume
- 2
- Issue
- 2
- Pages
- 125-156
- Sources
- bibtex:phds-export.bib